Testing for Sphericity in Panels
نویسنده
چکیده
Abstract This manuscript considers locally best invariant tests for sphericity in heterogeneous panel models, which are given as weighted sums of individual tests. An exact integral expression and a saddlepoint approximation for their null distributions are provided. The saddlepoint approximation generalizes the earlier result of Broda, Paolella, and Tchopourian (2006). Despite having been derived by an entirely different method of proof, the new approximation reduces to the earlier result under the proper assumptions, thus shedding some new light on the nature of the approximation. A panel stationarity test serves as a numerical example.
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